Hitting distributions of geometric Brownian motion
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Publication:5469326
DOI10.4064/sm173-1-2zbMath1088.60085arXivmath/0503060OpenAlexW1978570307MaRDI QIDQ5469326
Michał Ryznar, Tomasz Byczkowski
Publication date: 17 May 2006
Published in: Studia Mathematica (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0503060
Related Items (18)
Sharp estimates of the Green function of hyperbolic Brownian motion ⋮ Hyperbolic Green function estimates ⋮ Square-root boundaries for Bessel processes and the hitting times of radial Ornstein-Uhlenbeck processes ⋮ Generalized axially symmetric potentials with distributional boundary values ⋮ Approximating the first passage time density from data using generalized Laguerre polynomials ⋮ Moments and tails of hitting times of Bessel processes and convolutions of elementary mixtures of exponential distributions ⋮ Hitting times of Bessel processes ⋮ Hyperbolic harmonic functions and hyperbolic Brownian motion ⋮ Exit times densities of the Bessel process ⋮ Asymptotic expansions for the first hitting times of Bessel processes ⋮ ASYMPTOTIC BEHAVIOR OF DISTRIBUTION DENSITIES IN MODELS WITH STOCHASTIC VOLATILITY. I ⋮ Poisson kernels of half-spaces in real hyperbolic spaces ⋮ Tree structured independence for exponential Brownian functionals ⋮ Hitting times to spheres of Brownian motions with and without drifts ⋮ Asymptotics of the densities of the first passage time distributions for Bessel diffusions ⋮ The probability distributions of the first hitting times of Bessel processes ⋮ Asymptotic behaviour of the Bessel heat kernels ⋮ Sharp estimates of transition probability density for Bessel process in half-line
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